1. O MODELO DE PRECIFICAÇÃO DE ATIVOS DE CAPITAL: TEORIA E EVIDÊNCIAS.
- Author
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Fama, Eugene F. and French, Kenneth R.
- Subjects
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CAPITAL assets pricing model , *CAPITAL costs , *COST estimates , *INVESTMENT analysis , *RISK , *RATE of return - Abstract
Four decades after its advent, the capital assets pricing model proposed by Nobel Prize laureate William Sharpe and by John Lintner, known as CAPM, remains the most widely used model in estimating firms' cost of capital and valuing portfolios. This is due to the model's predictive power for risk and risk-return ratios. The purpose of this article is to show that CAPM has empirical flaws associated with theoretical simplifications and difficulties implementing valid tests for the model. The article concludes that the limitations of CAPM are challenges to be explained by alternative models. [ABSTRACT FROM AUTHOR]
- Published
- 2007
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